Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Download or read book Inflation Risk Premium written by Olesya V. Grishchenko and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Quot;Inflation-indexed securities would appear to be the most direct source of information about inflation expectations and real interest rates.quot; (Bernanke, 2004). In this paper we study the term structure of real interest rates, expected inflation, and inflation risk premia using data on prices of Treasury Inflation Protected Securities (TIPS) over the period 2000-2007. The estimates of the 10-year inflation risk premium are between 11 and 22 basis points for 2000-2007 depending on the proxy used for the expected inflation. Furthermore, we find that the inflation risk premium is time varying and, specifically, negative in the first half (which might be due to either concerns of deflation or low liquidity of the TIPS market), but positive in the second half of the sample.
Download or read book Inflation Risk Premium written by Olesya V. Grishchenko and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Expected Inflation and Inflation Risk Premium in the Euro Area and in the United States written by Marcello Pericoli and published by . This book was released on 2011 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Inflation Risk Premia in the US and the Euro Area written by Peter Hördahl and published by . This book was released on 2010 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Inflation Risk Premia in the Term Structure of Interest Rates written by Peter Hördahl and published by . This book was released on 2007 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper estimates the size and dynamics of inflation risk premia in the euro area, based on a joint model of macroeconomic and term structure dynamics. Information from both nominal and index-linked yields is used in the empirical analysis. Our results indicate that term premia in the euro area yield curve reflect predominantly real risks, i.e. risks which affect the returns on both nominal and index-linked bonds. On average, inflation risk premia were negligible during the EMU period but occasionally subject to statistically significant fluctuations in 2004-2006. Movements in the raw break-even rate appear to have mostly reflected such variations in inflation risk premia, while long-term inflation expectations have remained remarkably anchored from 1999 to date." - - Abstract.
Download or read book An Estimate of the Inflation Risk Premium Using a Three factor Affine Term Structure Model written by J. Benson Durham and published by . This book was released on 2006 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Inflation Risk Premium in the Post Lehman Period written by and published by . This book was released on 2017 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Inflation Risk Premium in the Term Structure of Interest Rates written by Peter Hördahl and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A dynamic term structure model based on an explicit structural macroeconomic framework is used to estimate inflation risk premia in the United States and the euro area. On average over the past decade, inflation risk premia have been relatively small but positive. They have exhibited an increasing pattern with respect to maturity for the euro area and a flatter one for the United States. Furthermore, the estimates imply that risk premia vary over time, mainly in response to fluctuations in economic growth and inflation.
Download or read book Has the Inflation Risk Premium Fallen Is it Now Negative written by Andrew Y. Chen and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation compensation is widely used by market commentators to gauge the expectations of investors regarding the outlook for inflation.
Download or read book Nominal and Real Interest Rates Expected Inflation and the Inflation Risk Premium written by Jens Rask Nordestgaard and published by . This book was released on 2008 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Estimation of the Inflation Risk Premium written by Pavol Povala and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This master's thesis analyzes the inflation risk premium embodied in the nominal interest rates based on UK government index-linked and nominal securities data in a period of high and volatile inflation, 1985 to 1992, and in a period of low and stable inflation, 1997 to 2007. To recover the inflation risk premium a discrete time term structure model is estimated, using jointly real and nominal yields. Inflation is modeled as an observable factor uncorrelated with latent factors in an affine Gaussian framework. Subsequently, the dynamics of the inflation risk premium and its driving factors are studied in both periods. In the first period, I find the inflation risk premium to be significant most of the time, strongly time-varying and occasionally negative, in the second period the inflation risk premium is only significant at a few points and significantly lower. The variance decomposition of the nominal-to-real yield spread shows that movements in spreads are mostly driven by changes in the inflation risk premium, especially at the long end of the curve.
Download or read book A Non knotty Inflation Risk Premium Model written by José Valentim Machado Vicente and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Inflation Fisher Equation and the Term Structure of Inflation Risk Premia written by Ren-Raw Chen and published by . This book was released on 2010 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we study inflation risk and the term structure of inflation risk premia in the U.S. nominal interest rates through the Treasury Inflation Protection Securities (TIPS) and an analytical two-factor Cox-Ingersoll-Ross (CIR) model with correlated real rate and inflation. The analytical formula facilitates the estimation of the model parameters and improves the accuracy of the valuation of nominal rates and TIPS, and especially enables us to estimate the term structure of inflation risk premia.We use the two-factor model to evaluate the inflation-index bonds and study the relationship between the real rate and the expected inflation rate implied by the nominal Constant Maturity Treasury (CMT) rates for the period of January 1998 through December 2004. We use the Unscented Kalman Filter (UKF) to estimate the model and the inflation risk premium. The empirical evidence indicates that the expected inflation rate, as opposed to those derived from the consumer price indexes, is very stable and the inflation risk premia demonstrate a steep term structure.
Download or read book The Inflation Risk Premium written by Alexander de Roode and published by . This book was released on 2014 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the inflation risk premium in affine term structure models. By estimating empirical distributions for the inflation risk premium using a new Bayesian methodology, we find a wide range of likely estimates. The 95% credibility intervals for 5 year maturity range from about -95 to 88 basis points in the UK and -4 to 119 basis points in the US during the period of 2004-2012. Our results show that affine term structure models are unable to capture the inflation risk premium accurately. To that end, we use a Bayesian methodology to show how the financial crisis in 2008 impacts the uncertainty regarding inflation risk premium. We find a substantial upward shift in the inflation risk premium in the UK while an downward shift in the US. In particular, our 95% credibility intervals shift to -105 to 150 in the UK and -50 to 92 basis points in the US.
Download or read book Tips from TIPS written by Stefania D'Amico and published by . This book was released on 2008 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the informational content of TIPS yields from the viewpoint of a general 3-factor no-arbitrage term structure model of inflation and interest rates. Our empirical results indicate that TIPS yields contained a "liquidity premium" that was until recently quite large (1%). Key features of this premium are difficult to account for in a rational pricing framework, suggesting that TIPS may not have been priced efficiently in its early years. Besides the liquidity premium, a time-varying inflation risk premium complicates the interpretation of the TIPS breakeven inflation rate (the difference between the nominal and TIPS yields). Nonetheless, high-frequency variation in the TIPS breakeven rates is similar to the variation in inflation expectations implied by the model, lending support to the view that TIPS breakeven inflation rates are a useful proxy for inflation expectations.
Download or read book Nominal and Inflation Indexed Yields written by Stefano Risa and published by . This book was released on 2001 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research makes joint use of the prices of nominal and inflation indexed bonds to estimate and study inflation risk premium and inflation expectations.First, I use a robust non-parametric procedure on UK data from 1983 to 1999 to extract weekly nominal and inflation indexed zero prices. Then I develop a pricing model in the spirit of the essentially affine class of Duffee (2000). I estimate the model with a Kalman filter and find that the data is best fit by a 4 factor version.The estimates support a variable, mostly significant inflation risk premium; on a 10 year zero coupon bond this is on average 2%, but is initially higher, and eventually indistinguishable from zero; its behavior follows historical events. The variability of the nominal to real yield spread is mostly due to inflation at the short end and to its premium at the long end.
